The time-varying causality between spot and futures crude oil prices : a regime switching approach
Mehmet Balcilar, Hasan Gungor, Shawkat Hammoudeh
| Year of publication: |
November 2015
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|---|---|
| Authors: | Balcilar, Mehmet ; Gungor, Hasan ; Hammoudeh, Shawkat |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 40.2015, p. 51-71
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| Subject: | Oil futures price | Markov-switching model | Time-varying Granger-causality | Ölpreis | Oil price | Rohstoffderivat | Commodity derivative | Kausalanalyse | Causality analysis | Markov-Kette | Markov chain | Volatilität | Volatility | Welt | World | Ölmarkt | Oil market | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | ARCH-Modell | ARCH model | Spotmarkt | Spot market | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2015.02.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011571896